Search results

The authors construct an index of economic policy uncertainty (EPU) for Greece using textual analysis and analyze its role in the 10-year Greek economic crisis.

To identify the causal relationship between various measures of economic activity and EPU in Greece, the authors use a sophisticated “shock-based” structural vector autoregressive identification scheme. Additionally, the authors use two additional models to ensure the robustness of the results.

EPU is negatively associated with domestic economic activity and economic sentiment, and positively with bond credit spreads. EPU is also estimated to have prolonged the crisis even in periods when macroeconomic imbalances were cured. The results are robust across various model specifications and different proxies of economic activity.

Brunnermeier (2017) observed that uncertainty may be central to understanding the evolution of the Greek crisis. Yet little attention has been paid to policy uncertainty in the existing long and growing literature on the Greek crisis. The authors attempt to fill this gap.

In this paper, the heterogeneity of the linkages among financial development, productivity and growth across income groups is emphasized.

An empirical analysis is conducted with an illustrative sample of 130 economies over the period 1991–2019 and classified into four subsamples: Organisation for Economic Co-operation and Development (OECD), developing, least developed and net food importing developing countries. Forecast error variance decompositions and panel vector auto-regressive estimations are computed, with insightful findings.

Higher levels of output stimulate the economic development in the agricultural sector, mainly via the productivity channel and, in the most developed economies, also through access to credit. Differently, in developing and least developed economies, the role of access to credit is marginal. The findings have practical implications for stakeholders involved in the planning of long-run investments. In less developed economies, priorities should be given to investments in technology and innovation, whereas financial markets are more suited to boost the development of the agricultural sector of developed economies.

The authors conclude on the credit–output–productivity nexus and contribute to the literature in (at least) three ways. First, they assess how credit access, agricultural output and agricultural productivity are jointly determined. Second, they use a novel approach, which departs from most of the case studies based on single-country data. Third, they conclude on potential causality links to conclude on policy implications.

The study aims to estimate the short- and long-run effects of monetary policy on residential property prices in South Africa. Over the past decades, there has been a monetary policy shift, from targeting money supply and exchange rate to inflation. The shifts have affected residential property market dynamics.

The Johansen cointegration approach was used to estimate the effects of changes in monetary policy proxies on residential property prices using quarterly data from 1980 to 2022.

Mortgage finance and economic growth have a significant positive long-run effect on residential property prices. The consumer price index, the inflation targeting framework, interest rates and exchange rates have a significant negative long-run effect on residential property prices. The Granger causality test has depicted that exchange rate significantly influences residential property prices in the short run, and interest rates, inflation targeting framework, gross domestic product, money supply consumer price index and exchange rate can quickly return to equilibrium when they are in disequilibrium.

There are limited arguments whether the inflation targeting monetary policy framework in South Africa has prevented residential property market boom and bust scenarios. The study has found that the implementation of inflation targeting framework has successfully reduced booms in residential property prices in South Africa.

This study aims to provide empirical evidence on the return and volatility spillover structures between Bitcoin, Fintech stocks and Asian-Pacific equity markets over time and during different market conditions, and their implications for portfolio management.

We use Time-varying parameter vector autoregressive and quantile frequency connectedness approach models for the connectedness framework, in conjunction with Diebold and Yilmaz’s connectivity approach. Additionally, we use the minimum connectedness portfolio model to highlight implications for portfolio management.

Regarding the uncertainty of the whole system, we show a small contribution from Bitcoin and Fintech, with a higher contribution from the four Asian Tigers (Taiwan, Singapore, Hong Kong and Thailand). The quantile and frequency analyses also demonstrate that the link among assets is symmetric, with short-term spillovers having the largest influence. Finally, Bitcoins and Fintech stocks are excellent diversification and hedging instruments for Asian equity investors.

There is an instantaneous, symmetric and dynamic return and volatility spillover between Asian stock markets, Fintech and Bitcoin. This conclusion should be considered by investors and portfolio managers when creating risk diversification strategies, as well as by policymakers when implementing their financial stability policies.

The study’s major contribution is to analyze the volatility spillover between Bitcoin, Fintech and Asian stock markets, which is dynamic, symmetric and immediate.

This study examines the importance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand. To this end, the authors construct a small open economy New Keynesian dynamic stochastic general equilibrium (DSGE) model. The model encompasses several essential characteristics, including incomplete financial markets, incomplete exchange rate pass-through, deviations from the law of one price and a banking sector. The authors consider generalized Taylor rules, in which policymakers adjust policy rates in response to output, inflation, credit growth and exchange rate fluctuations. The marginal likelihoods are then employed to investigate whether the central bank responds to fluctuations in the exchange rate and credit growth.

This study constructs a small open economy DSGE model and then estimates the model using Bayesian methods.

The authors demonstrate that the monetary authority does target exchange rates, whereas there is no evidence in favor of incorporating credit growth into the policy rules. These findings survive various robustness checks. Furthermore, the authors demonstrate that domestic shocks contribute significantly to domestic business cycles. Although the terms of trade shock plays a minor role in business cycles, it explains the most significant proportion of exchange rate fluctuations, followed by the country risk premium shock.

This study is the first attempt at exploring the relevance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand.

Little is known about the quantitative impact of macro policies on disaggregated variables. This study investigates the effects of macroeconomic policies and cost/supply shocks on sectoral output growth.

We analyzed empirical evidence from Ghana using a Structural Vector Autoregression approach.

The results show that the transmission of various macro policies and supply/cost shocks is conditional on sectoral idiosyncrasies. Fiscal programs contribute the most to agricultural output growth and the least to industrial production. The downturn from rising costs and supply disruptions is more severe and lasting in the agriculture sector than in the service sector. The evidence shows that fiscal consolidation centered on government consumption cuts would not drag growth over the medium-term.

Our results show that the structural characteristics of a country may play an important role in understanding the output effects of macro policy changes. The empirical evidence shows that targeted policies are needed to complement countercyclical macroeconomic policies to facilitate broad-based economic recovery.

Research on the impact of macro policy shocks on the real economy has usually focused on the behavior of highly aggregated variables. In this research, we focus on disaggregated, sector-level variables to unveil the idiosyncrasies in the performance of disaggregated variables that are usually concealed when studying the behavior of aggregate variables. This study also contributes a different angle to the debate on supply shocks by examining how cost shocks are propagated through the various sectors of the economy.

The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-11-2023-0876

This study aims to investigate the dynamics between exogenous shocks, financial stress and economic performance in the USA from January 1995 to August 2023.

Granger-causality tests and impulse response analyses are used to examine causal relationships and dynamic responses among crude oil prices, real M2 money supply, financial stress and key economic indicators.

This study reveals a significant correlation between elevated financial stress and reduced real output, along with disruptions in the labor market, potentially leading to economic recessionary trends. Failure to address these challenges could perpetuate labor market difficulties, weaken capital accumulation within the loanable funds market and ultimately hinder long-term economic growth prospects in the USA.

This study offers insights for policymakers to mitigate financial stress. Recommendations include enhancing financial surveillance, strengthening regulatory frameworks, promoting economic diversification and implementing countercyclical policies to stabilize the economy and support labor markets. In addition, proactive monitoring of financial stress indicators can serve as early warning signals, aiding in timely interventions and effective risk management strategies.

This research provides a comprehensive analysis of how the financial stress index (FSI) mediates the effects of external shocks on the US economy, addressing a gap in existing literature. The integration of the FSI into the analysis enhances the understanding of the transmission channels through which external shocks influence the economy.

This study aims to examine information (stock return, volatility and extreme risk) spillovers and interconnectedness within dual-banking systems.

Using multilayer information spillover networks, this paper conduct a deep analysis of contagion dynamics among 24 Islamic and 46 conventional banks from 2006 to 2022.

The findings show the network’s rapid response to financial shocks. Through cross-sector analysis, this paper identify information spillovers between and within Islamic and conventional banking systems. Furthermore, this research illustrates distinct roles played by Islamic and conventional banks within the multilayer network structure, contingent upon the nature of the financial shock.

Understanding the differential roles of Islamic and conventional banks in information transmission can aid policymakers and financial institutions in devising more effective risk management strategies, thereby enhancing financial stability within dual-banking systems.

This study contributes to the literature by emphasizing the necessity of examining contagion mechanisms beyond traditional single-layer network structures, shedding light on the shadow dynamics of information transmission in dual-banking systems.

This study investigates the finance-investment nexus in sub-Saharan Africa using data from 41 countries spanning the period from 2000 to 2022. The central question addressed is whether there is a “too little” or “too much” finance problem in the region.

This study employs a system-generalised method of moments (GMM) approach to analyse the association between finance and private investment. Additionally, a dynamic threshold regression model is used to uncover potential nonlinearities in this relationship.

Initially, the study identifies a negative correlation between increased finance and private investment. However, further analysis using the dynamic threshold regression model reveals a critical threshold level of finance. Specifically, the threshold is found to be 6.52% of domestic credit to the private sector and 23.18% using the financial development index. Below this threshold, finance negatively impacts private investment, while surpassing this threshold leads to positive growth in private investment. These findings indicate an issue of “too little” finance in the finance and private investment nexus in sub-Saharan Africa. The results are robust across different model specifications.

The implications of this study highlight the importance of identifying critical thresholds for financing to enhance investment expenditures in the region.

This study contributes to the literature by uncovering nonlinearities in the finance-investment nexus in sub-Saharan Africa. The identification of critical thresholds provides valuable insights for policymakers, emphasising the need to strengthen the financial sector in countries operating below these thresholds to promote private investment and economic growth.

The authors investigate the impact of the US stock market on the economies of the BRICS and major industrialized economies (G7).

The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. Global vector autoregressive (GVAR) empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.

The authors summarize the results in four points: (1) financial integration variables increase the effect of the US stock market on the BRICS and G7, (2) the US shock produces similar responses in these groups regarding industrial production, stock markets and confidence but different responses regarding domestic currencies: in the BRICS, the authors detect appreciation of the currencies, while in the G7, the authors find depreciation, (3) G7 stock markets and policy rates are more sensitive to the US shock than the BRICS and (4) the estimates point out to heterogeneities such as the importance of industrial production to the transmission shock in Japan and China, the exchange rate to India, Japan and the UK, the interest rates to the Eurozone and the UK and confidence to Brazil, South Africa and Canada.

The results reinforce the importance of taking into account different levels of economic development.

The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. GVAR empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.